摘要
In this paper, we consider a risk model in which each main claim may induce a delayed claim, called a by-claim. We assume that the time for the occurrence of a by-claim is random. We investigate the expected discounted penalty function, and derive the defective renewal equation satisfied by it. We obtain some explicit results when the main claim and the by-claim are both exponentially distributed, respectively. We also present some numerical illustrations.
In this paper, we consider a risk model in which each main claim may induce a delayed claim, called a by-claim. We assume that the time for the occurrence of a by-claim is random. We investigate the expected discounted penalty function, and derive the defective renewal equation satisfied by it. We obtain some explicit results when the main claim and the by-claim are both exponentially distributed, respectively. We also present some numerical illustrations.
基金
supported by 121 Young Doctorial Development Fund Project for Central University of Finance and Economics (No. QBJJJ201004)
the 2011 research grant from the China Institute for Actuarial Science,Central University of Finance and Economics
the Ministry of Education Project of Key Research Institute of Humanities and Social Sciences in Universities (No. 11JJD790004,No. 11JJD790053)
The researchof Guojing Wang is supported by the Natural Science Foundation (No. KB2008155) of Jiangsu Province of China
the Research Fund for the Doctorial Program of Higher Education (No. 20093201110013)
